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Advanced Portfolio Management
book

Advanced Portfolio Management

by Giuseppe A. Paleologo
August 2021
Intermediate to advanced
208 pages
5h 2m
English
Wiley
Content preview from Advanced Portfolio Management

References

  1. R. Alquist, R. Israel, and T. J. Moskowitz. Fact, fiction, and the size effect. The Journal of Portfolio Management, 45(1):3–30, 2018.
  2. L. Angelini, M. Iqbal, and F. Jivraj. Systematic 13f hedge fund alpha. Barclays QIS Insights, 2019.
  3. C. S. Asness, T. J. Moskowitz, and L. H. Pedersen. Value and momentum everywhere. Journal of Finance, 58(3):929–985, 2013.
  4. C. R. Bacon. Practical Portfolio Performance Measurement and Attribution. Wiley, 2005.
  5. R. Banz. The relationship between return and market value of common stock. Journal of Financial Economics, 9(1):3–18, 1981.
  6. P. L. Bernstein. Against the Gods: The Remarkable Story of Risk. Wiley, 1996.
  7. A. Beveratos, J.-P. Bouchaud, S. Ciliberti, L. Laloux, Y. Lempérière, M. Potters, and G. Simon. Deconstructing the low-vol anomaly. Journal of Portfolio Management, 44(1):91–103, 2014.
  8. A. J. Black, B. Mao, and D. G. McMillan. The value premium and economic activity: Long-run evidence from the United States. Journal of Asset Management, 10(5):305–317, 2009.
  9. F. Black, M. C. Jensen, and M. Scholes. The capital asset pricing model: Some empirical tests. In M. C. Jensen, editor, Studies in the Theory of Capital Markets, pages 79–121. Praeger Publishing Co, 1972.
  10. D. Blitz, E. Falkenstein, and P. van Vliet. Explanations for the volatility effect: An overview based on the CAPM assumptions. Journal of Portfolio Management, 40(3):61–76, 2014.
  11. J. B. Buckheit and D. L. Donoho. Wavelab and reproducible statistics. In A. Antoniadis and G. Oppenheim, ...
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Publisher Resources

ISBN: 9781119789796Purchase Link